Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model

Bolancé, Catalina;Denuit, Michel;Lambert, Philippe;Guillén, Montserrat
(2007) European Actuarial Journal — Vol. 7, n° 1, p. 14-18 (2007)

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Authors
  • Bolancé, CatalinaUniversity of Barcelona
    Author
  • Denuit, MichelUCLouvain
    Author
  • Lambert, PhilippeUliège
    Author
  • Guillén, MontserratUniversity of Barcelona
    Author
Abstract
This paper proposes a generalization of the merit rating system described in Dionne & Vanasse (1989,1992). The model takes into account explanatory variables as well as possible modifications in the policyholders unobservable risk characteristics. It is based on the analysis of time series for count observations proposed by Harvey & Fernandes (1989). Numerical results obtained with a Spanish panel databasis for motor insurance illustrate the approach described in this paper.
Affiliations
  • Louvain School of Management

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Bolancé, C., Denuit, M., Lambert, P., & Guillén, M. (2007). Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model. European Actuarial Journal, 7(1), 14-18. https://hdl.handle.net/2078.5/138463 (Original work published 2007)